The Market Making Game as a Game
The make-a-market exercise looks like an estimation test with some arithmetic attached. It is a game with private information, a commitment device, an adverse selection problem and a bet-sizing decision, all of which you have now seen separately.
The exercise as a matrix
You estimate a quantity, quote two-sided, and the interviewer buys, sells, or passes. Then you requote, and it repeats.
Your actions are the centre of your quote, its width, and the size. Their actions are buy, sell or pass. Their payoff depends on the true value, which they may know and you do not, so this is a game of private information with you on the uninformed side.
What each piece of the course says about it
Your spread is a commitment. It is a binding two-way offer, and the width is a public statement about your own uncertainty. Quote a range and then a spread inconsistent with it and you have contradicted yourself, which is the inconsistency interviewers look for.
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